Year 2020, Volume 25 , Issue 3, Pages 1345 - 1358 2020-12-31

PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI
A Decision Support System Application for Portfolio Optimization

Aslı SEBATLI-SAĞLAM [1] , Fatih ÇAVDUR [2]


Bu çalışmada, Markowitz ortalama-varyans modeli kullanılarak portföy optimizasyonu için kişisel bilgisayarda çalışan bir karar destek sistemi sunulmaktadır. Uygulama, günlük hayatta sıklıkla kullanılan bir elektronik tablolama yazılımı ortamında geliştirilmiştir. Geliştirilen sistem ile girilen parametrelere bağlı olarak Markowitz ortalama-varyans modeli çözdürülmektedir. Elde edilen optimal portföy, elektronik tablolama ortamının grafiksel arayüzü kullanılarak sunulmaktadır. Sistemin uygulaması için 2009-2018 yılları arasındaki Dow Jones Borsası Endüstri Endeksi’nde yer alan 30 firmanın günlük kapanış fiyatlarını içeren bir veri kümesi kullanılmıştır. Geliştirilen karar destek sistemi kullanılarak farklı beklenen getiri oranları için optimal portföyler elde edilmiş ve sonuçlar analiz edilmiştir. Esnek ve kullanımı kolay şekilde bir elektronik tablolama yazılımı ortamında çalışabilen ve Markowitz ortalama-varyans modelinin matematiksel detaylarına hakim olmayı gerektirmeksizin yatırımcıların optimal portföyler oluşturmalarına olanak sağlayan bir portföy optimizasyonu aracının geliştirilmiş olması çalışmanın en önemli katkısını oluşturmaktadır.

In this study, a decision support system for portfolio optimization is developed. The application is developed on a spreadsheet environment frequently used in daily life. Using the developed system, the Markowitz mean-variance model is solved based on the problem parameters entered by the user. The resulted optimal portfolio is presented using the graphical user interface of the spreadsheet environment. A dataset including the daily closure prices of the 30 companies in the Dow Jones Industrial Average Index between the years of 2009 and 2018 is used for the implementation of the system. The optimal portfolios for different required-return rates are obtained and the results are analyzed using the developed decision support system. Development of a flexible and easy-to-use portfolio optimization tool running in a spreadsheet environment and allowing investors constructing optimal portfolios without dealing with the mathematical details of the Markowitz mean-variance model constitute the most important contribution of the study.
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Primary Language tr
Subjects Industrial Engineering
Journal Section Research Articles
Authors

Orcid: 0000-0002-9445-6740
Author: Aslı SEBATLI-SAĞLAM (Primary Author)
Institution: BURSA ULUDAĞ ÜNİVERSİTESİ, MÜHENDİSLİK FAKÜLTESİ, ENDÜSTRİ MÜHENDİSLİĞİ BÖLÜMÜ
Country: Turkey


Orcid: 0000-0001-8054-5606
Author: Fatih ÇAVDUR
Institution: BURSA ULUDAĞ ÜNİVERSİTESİ, MÜHENDİSLİK FAKÜLTESİ, ENDÜSTRİ MÜHENDİSLİĞİ BÖLÜMÜ
Country: Turkey


Dates

Application Date : February 27, 2019
Acceptance Date : October 19, 2020
Publication Date : December 31, 2020

Bibtex @research article { uumfd532966, journal = {Uludağ University Journal of The Faculty of Engineering}, issn = {2148-4147}, eissn = {2148-4155}, address = {}, publisher = {Bursa Uludağ University}, year = {2020}, volume = {25}, pages = {1345 - 1358}, doi = {10.17482/uumfd.532966}, title = {PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI}, key = {cite}, author = {Sebatlı-sağlam, Aslı and Çavdur, Fatih} }
APA Sebatlı-sağlam, A , Çavdur, F . (2020). PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI . Uludağ University Journal of The Faculty of Engineering , 25 (3) , 1345-1358 . DOI: 10.17482/uumfd.532966
MLA Sebatlı-sağlam, A , Çavdur, F . "PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI" . Uludağ University Journal of The Faculty of Engineering 25 (2020 ): 1345-1358 <https://dergipark.org.tr/en/pub/uumfd/issue/57911/532966>
Chicago Sebatlı-sağlam, A , Çavdur, F . "PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI". Uludağ University Journal of The Faculty of Engineering 25 (2020 ): 1345-1358
RIS TY - JOUR T1 - PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI AU - Aslı Sebatlı-sağlam , Fatih Çavdur Y1 - 2020 PY - 2020 N1 - doi: 10.17482/uumfd.532966 DO - 10.17482/uumfd.532966 T2 - Uludağ University Journal of The Faculty of Engineering JF - Journal JO - JOR SP - 1345 EP - 1358 VL - 25 IS - 3 SN - 2148-4147-2148-4155 M3 - doi: 10.17482/uumfd.532966 UR - https://doi.org/10.17482/uumfd.532966 Y2 - 2020 ER -
EndNote %0 Uludağ University Journal of The Faculty of Engineering PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI %A Aslı Sebatlı-sağlam , Fatih Çavdur %T PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI %D 2020 %J Uludağ University Journal of The Faculty of Engineering %P 2148-4147-2148-4155 %V 25 %N 3 %R doi: 10.17482/uumfd.532966 %U 10.17482/uumfd.532966
ISNAD Sebatlı-sağlam, Aslı , Çavdur, Fatih . "PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI". Uludağ University Journal of The Faculty of Engineering 25 / 3 (December 2020): 1345-1358 . https://doi.org/10.17482/uumfd.532966
AMA Sebatlı-sağlam A , Çavdur F . PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI. UUJFE. 2020; 25(3): 1345-1358.
Vancouver Sebatlı-sağlam A , Çavdur F . PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI. Uludağ University Journal of The Faculty of Engineering. 2020; 25(3): 1345-1358.
IEEE A. Sebatlı-sağlam and F. Çavdur , "PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI", Uludağ University Journal of The Faculty of Engineering, vol. 25, no. 3, pp. 1345-1358, Dec. 2021, doi:10.17482/uumfd.532966